Miscellaneous parameters

The file FRTBParameters*.csv is loaded into the FRTBParameters store. The table below lists the miscellaneous parameters used in the Equity risk class calculations, with their parameter names and default values.

Parameter	Parameter Name	Default Value
$\rho_{kl}$ in	sa.equity.spot-to-repo.correlation	0.999
$\rho_{kl}$ multiplier for Spot $\times$ Repo risk-factors in	sa.equity.spot-to-repo.different-issuer.correlation	0.999
$\gamma_{bc}$ between buckets 1-10 in	sa.equity.delta.gamma.correlation	0.15
$\gamma_{bc}$ between index buckets in	sa.equity.delta.gamma.index.correlation	0.75
$\gamma_{bc}$ between buckets in 1-10 and index buckets in	sa.equity.delta.gamma.index-cross.correlation	0.45
$RW_\sigma$ in	sa.vega.rw	0.55
Decimal places in $RW_k$ in	sa.vega.rw.rounding-dp	4
$\alpha$ in	sa.vega.rho-option-maturity.alpha	0.01